Check out the latest research paper Interest Rate Derivatives Trading Activity Reported in EU, UK and US Markets: First Half of 2024 and the Second Quarter of 2024.
Interest Rate Derivatives
- Total IRD traded notional and trade count increased by 18% and 16%, respectively
- Fixed-for-floating IRS traded notional and trade count increased by 44% and 15%, respectively
- FRA traded notional and trade count decreased by 35% and 55%, respectively
- OIS traded notional and trade count increased by 20% and 23%, respectively
- 73% of total traded notional was cleared vs. 78% last year
- 58% of total traded notional was executed on SEFs vs. 52% last year
2024 Current Week vs. 2023 Current Week
Credit Derivatives Reported under CFTC Regulations
2024 YTD vs. 2023 YTD
- Total index credit derivatives traded notional increased by 11%, while trade count decreased by 2%
- CDX HY traded notional and trade count decreased by 6% and 13%, respectively
- CDX IG traded notional increased by 5%, while trade count decreased by 3%
- iTraxx Europe traded notional and trade count increased by 14% and 2%, respectively
- 82% of total traded notional was cleared vs. 86% last year
- 81% of total traded notional was executed on SEFs vs. 84% last year
2024 Current Week vs. 2023 Current Week
Credit Derivatives Reported under SEC Regulations
2024 YTD vs. 2023 YTD
- Total security-based credit derivatives traded notional and trade count decreased by 12% and 14%, respectively
- Corporate single-name CDS traded notional and trade count decreased by 16% and 18%, respectively
- Sovereign single-name CDS traded notional and trade count decreased by 8% and 7%, respectively
- 52% of total traded notional was cleared vs. 50% last year
2024 Current Week vs. 2023 Current Week
